Apparatus, method and system for determining credit derivative indices and estimating credit derivative credit curves, and a credit calculator for valuing credit derivatives based on the credit curves

US7818235B2 · kind B2 · utility

Assignee

• GFI GROUP, INC. · US

Inventors

• John Campbell Hull · Mississauga, CA
• Alan Douglas White · Toronto, CA
• Michael Gooch · Los Angeles, US
• Matthew Woodhams · London, GB

Key dates

• Filing date: Feb 14, 2003
• Grant date: Oct 19, 2010
• Expiry date: Jul 22, 2027

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q99/00
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

An apparatus, method and system for determining an estimate of at least one numerical attribute of at least one entity of a population when the population is changing and there are a limited number of observations on the attribute for the entities, in which a conditional index is determined to track how a value of the attribute changes from one time to another for an entity that is a member of the population at both times, and an unconditional index is determined representing an average level of the attribute for the entities of the population.